Narrow search
Showing 1 - 10 of 198
Cover Image
Toward a unified interval estimation of autoregressions
Chan, Ngai Hang; Li, Deyuan; Peng, Liang - In: Econometric theory 28 (2012) 3, pp. 705-717
Persistent link: https://www.econbiz.de/10009545785
Cover Image
Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
Cover Image
Empirical likelihood test for causality of bivariate AR(1) processes
Li, Deyuan; Chan, Ngai Hang; Lian, Peng - In: Econometric theory 30 (2014) 2, pp. 357-371
Persistent link: https://www.econbiz.de/10010399760
Cover Image
Uniform test for predictive regression with AR errors
Li, Chenxue; Li, Deyuan; Peng, Liang - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 29-39
Persistent link: https://www.econbiz.de/10011704097
Cover Image
Bias-corrected inference for a modified Lee-Carter mortality model
Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 433-455
Persistent link: https://www.econbiz.de/10012056606
Cover Image
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Chan, Ngai Hang; Deng, Shi-jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10003441983
Cover Image
Empirical likelihood methods based on characteristic functions with applications to Lévy processes
Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L. - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1621-1630
Persistent link: https://www.econbiz.de/10003993190
Cover Image
Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
Chan, Ngai Hang; Peng, Liang; Zhang, Dabao - In: Econometric theory 27 (2011) 1, pp. 154-177
Persistent link: https://www.econbiz.de/10009127139
Cover Image
Pitfalls in Using Weibull Tailed Distributions
Asimit, Alexandru Vali; Li, Deyuan; Peng, Liang - 2013
By assuming that the underlying distribution belongs to the domain of attraction of an extreme value distribution, one can extrapolate the data to a far tail region so that a rare event can be predicted. However, when the distribution is in the domain of attraction of a Gumbel distribution, the...
Persistent link: https://www.econbiz.de/10014038337
Cover Image
The Impact of competition on prices with numerous firms
Gabaix, Xavier; Laibson, David I.; Li, Deyuan; Li, Hongyi; … - 2013
Persistent link: https://www.econbiz.de/10009783265